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Fixed Income Securities: Valuation, Risk, and Risk Management by Pietro Veronesi (Hardcover, 2010)

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PART I: BASICS. 7 Inflation, Monetary Policy, and the Federal Funds Rate. 8 Basics of Residential Mortgage Backed Securities. 9 One Step Binomial Trees. 10 Multi-Step Binomial Trees. 13 Monte Carlo Simulations on Trees.

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The deep understanding of the forces that affect the valuation, risk and return of fixed income securities and their derivatives has never been so important. As the world of fixed income securities becomes more complex, anybody who studies fixed income securities must be exposed more directly to this complexity. This book provides a thorough discussion of these complex securities, the forces affecting their prices, their risks, and of the appropriate risk management practices. Fixed Income Securities, however, provides a methodology, and not a shopping list of all the possible interest rate securities ever been invented. It provides instead examples and methodologies that can be applied quite universally, once the basic concepts have been understood.